skip to content
Endogenous liquidity and defaultable bonds Preview this item
ClosePreview this item
Checking...

Endogenous liquidity and defaultable bonds

Author: Zhiguo He; Konstantin Milbradt; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2012.
Series: Working paper series (National Bureau of Economic Research), no. 18408.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in an over-the-counter secondary market with search frictions. Bargaining with dealers determines a bond's endogenous liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact with the endogenous secondary market liquidity via the  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Zhiguo He; Konstantin Milbradt; National Bureau of Economic Research.
OCLC Number: 811019042
Notes: Title from http://www.nber.org/papers/18408 viewed September 25, 2012.
"September 2012."
Description: 1 online resource (58 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 18408.
Responsibility: Zhiguo He, Konstantin Milbradt.

Abstract:

This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in an over-the-counter secondary market with search frictions. Bargaining with dealers determines a bond's endogenous liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact with the endogenous secondary market liquidity via the rollover channel. A default-liquidity loop arises: Earlier endogenous default worsens a bond's secondary market liquidity, which amplifies equity holders' rollover losses, which in turn leads to earlier endogenous default. Besides characterizing in closed form the full inter-dependence between liquidity premium and default premium for credit spreads, we also study the optimal maturity implied by the model based on the tradeoff between liquidity provision and inefficient default.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/811019042> # Endogenous liquidity and defaultable bonds
    a schema:CreativeWork, schema:MediaObject, schema:Book ;
    library:oclcnum "811019042" ;
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/mau> ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/1169108816#Place/cambridge_mass> ; # Cambridge, Mass.
    schema:about <http://id.worldcat.org/fast/1755654> ; # Global Financial Crisis (2008-2009)
    schema:about <http://id.loc.gov/authorities/subjects/sh2009003683> ; # Global Financial Crisis, 2008-2009
    schema:about <http://experiment.worldcat.org/entity/work/data/1169108816#Topic/liquidity_economics_econometric_models> ; # Liquidity (Economics)--Econometric models
    schema:about <http://id.worldcat.org/fast/999685> ; # Liquidity (Economics)--Econometric models
    schema:about <http://experiment.worldcat.org/entity/work/data/1169108816#Topic/convertible_bonds_econometric_models> ; # Convertible bonds--Econometric models
    schema:bookFormat schema:EBook ;
    schema:contributor <http://viaf.org/viaf/96906629> ; # Konstantin Milbradt
    schema:contributor <http://viaf.org/viaf/135446122> ; # National Bureau of Economic Research.
    schema:copyrightYear "2012" ;
    schema:creator <http://viaf.org/viaf/80781356> ; # Zhiguo He
    schema:datePublished "2012" ;
    schema:description "This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in an over-the-counter secondary market with search frictions. Bargaining with dealers determines a bond's endogenous liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact with the endogenous secondary market liquidity via the rollover channel. A default-liquidity loop arises: Earlier endogenous default worsens a bond's secondary market liquidity, which amplifies equity holders' rollover losses, which in turn leads to earlier endogenous default. Besides characterizing in closed form the full inter-dependence between liquidity premium and default premium for credit spreads, we also study the optimal maturity implied by the model based on the tradeoff between liquidity provision and inefficient default."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/1169108816> ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/1169108816#Series/working_paper_series_national_bureau_of_economic_research> ; # Working paper series (National Bureau of Economic Research) ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/1169108816#Series/nber_working_paper_series> ; # NBER working paper series ;
    schema:name "Endogenous liquidity and defaultable bonds"@en ;
    schema:productID "811019042" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/811019042#PublicationEvent/cambridge_mass_national_bureau_of_economic_research_2012> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/1169108816#Agent/national_bureau_of_economic_research> ; # National Bureau of Economic Research
    schema:url <http://papers.nber.org/papers/18408> ;
    schema:url <http://papers.nber.org/papers/w18408> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/811019042> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/1169108816#Agent/national_bureau_of_economic_research> # National Bureau of Economic Research
    a bgn:Agent ;
    schema:name "National Bureau of Economic Research" ;
    .

<http://experiment.worldcat.org/entity/work/data/1169108816#Place/cambridge_mass> # Cambridge, Mass.
    a schema:Place ;
    schema:name "Cambridge, Mass." ;
    .

<http://experiment.worldcat.org/entity/work/data/1169108816#Series/nber_working_paper_series> # NBER working paper series ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/811019042> ; # Endogenous liquidity and defaultable bonds
    schema:name "NBER working paper series ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/1169108816#Series/working_paper_series_national_bureau_of_economic_research> # Working paper series (National Bureau of Economic Research) ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/811019042> ; # Endogenous liquidity and defaultable bonds
    schema:name "Working paper series (National Bureau of Economic Research) ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/1169108816#Topic/liquidity_economics_econometric_models> # Liquidity (Economics)--Econometric models
    a schema:Intangible ;
    schema:hasPart <http://id.loc.gov/authorities/subjects/sh85077403> ;
    schema:name "Liquidity (Economics)--Econometric models"@en ;
    .

<http://id.loc.gov/authorities/subjects/sh2009003683> # Global Financial Crisis, 2008-2009
    a schema:Intangible ;
    schema:name "Global Financial Crisis, 2008-2009"@en ;
    .

<http://id.worldcat.org/fast/1755654> # Global Financial Crisis (2008-2009)
    a bgn:Meeting, schema:Event ;
    schema:name "Global Financial Crisis (2008-2009)" ;
    .

<http://id.worldcat.org/fast/999685> # Liquidity (Economics)--Econometric models
    a schema:Intangible ;
    schema:name "Liquidity (Economics)--Econometric models"@en ;
    .

<http://viaf.org/viaf/135446122> # National Bureau of Economic Research.
    a schema:Organization ;
    schema:name "National Bureau of Economic Research." ;
    .

<http://viaf.org/viaf/80781356> # Zhiguo He
    a schema:Person ;
    schema:familyName "He" ;
    schema:givenName "Zhiguo" ;
    schema:name "Zhiguo He" ;
    .

<http://viaf.org/viaf/96906629> # Konstantin Milbradt
    a schema:Person ;
    schema:birthDate "1980" ;
    schema:familyName "Milbradt" ;
    schema:givenName "Konstantin" ;
    schema:name "Konstantin Milbradt" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.